white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
Resources Filter by Type All Resources Publications Webinars Case Studies Videos Podcasts Events Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform journal issue Numerix Journal Vol. 1, No. 2 In the Vol. 1 No. 2 Issue of the Numerix Journal, we cover XVAs, the martingale test, Numerix LSV model, and structured note annuities. Read journal issue webinar Prudent Valuation: Bridging the Gap Between Pricing & Risk Management Dr. Marco Bianchetti and Ilja Faerman discuss the new Prudent Valuation regulations, interpret the numerous AVAs and examine their calculations, and discuss best practices in implementing a Prudent Valuation framework. Register to view On-Demand. Register Now quantitative research Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research white paper Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years. Read white paper webinar Indexed Variable Annuities - Evolving Product Designs in the Annuity Market Insurers are merging the best features of FIA and VA products to create a new range of hybrid designs. Alex Marion reviews the new Indexed Variable Annuity, IVA, product designs and discusses best practices for the risk management, hedging and reserving of these products. Register to view On-Demand. Register Now webinar The Case for Dynamic Replication of Indexed Annuities Traditionally market risk exposure from Indexed Annuities is managed via static hedging programs. Mark Hadley explores strategies for dynamic hedging, an approach which can offer a more cost effective option in the face of low rates and the competitive landscape. Register to view On-Demand. Register Now journal issue Numerix Journal Vol. 1, No. 1 In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation. Read journal issue white paper Model Risk: The Challenges of Legacy Code and Best Practices In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation. Read white paper Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research webinar Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand. Register Now webinar Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand. Register Now white paper The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts. Read white paper webinar Advanced OIS Discounting - Building Proxy OIS Curves When OIS Markets are Illiquid or Nonexistent Dr. Ion Mihai discusses how to build proxy OIS curves from available market information in currencies where the OIS market is not well developed. Register to view On-Demand. Register Now quantitative research Funding Value Adjustment for General Financial Instruments: Theory and Practice This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level. Read quantitative research white paper Mastering Model Risk: Assessment, Regulation and Best Practices In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk. Read white paper webinar Advanced OIS Curve Building Approaches: Improving Accuracy at the Short End of the Curve Numerix featured speaker Mark Hadley discusses ways derivative market practitioners can enhance the bootstrapping process for the short end of OIS curves, and how these approaches will become more important as rates rise. Register Now quantitative research SABR Spreads Its Wings Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. 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journal issue Numerix Journal Vol. 1, No. 2 In the Vol. 1 No. 2 Issue of the Numerix Journal, we cover XVAs, the martingale test, Numerix LSV model, and structured note annuities. Read journal issue
webinar Prudent Valuation: Bridging the Gap Between Pricing & Risk Management Dr. Marco Bianchetti and Ilja Faerman discuss the new Prudent Valuation regulations, interpret the numerous AVAs and examine their calculations, and discuss best practices in implementing a Prudent Valuation framework. Register to view On-Demand. Register Now
quantitative research Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research
quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research
white paper Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years. Read white paper
webinar Indexed Variable Annuities - Evolving Product Designs in the Annuity Market Insurers are merging the best features of FIA and VA products to create a new range of hybrid designs. Alex Marion reviews the new Indexed Variable Annuity, IVA, product designs and discusses best practices for the risk management, hedging and reserving of these products. Register to view On-Demand. Register Now
webinar The Case for Dynamic Replication of Indexed Annuities Traditionally market risk exposure from Indexed Annuities is managed via static hedging programs. Mark Hadley explores strategies for dynamic hedging, an approach which can offer a more cost effective option in the face of low rates and the competitive landscape. Register to view On-Demand. Register Now
journal issue Numerix Journal Vol. 1, No. 1 In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation. Read journal issue
white paper Model Risk: The Challenges of Legacy Code and Best Practices In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation. Read white paper
quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research
webinar Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand. Register Now
webinar Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand. Register Now
white paper The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts. Read white paper
webinar Advanced OIS Discounting - Building Proxy OIS Curves When OIS Markets are Illiquid or Nonexistent Dr. Ion Mihai discusses how to build proxy OIS curves from available market information in currencies where the OIS market is not well developed. Register to view On-Demand. Register Now
quantitative research Funding Value Adjustment for General Financial Instruments: Theory and Practice This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level. Read quantitative research
white paper Mastering Model Risk: Assessment, Regulation and Best Practices In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk. Read white paper
webinar Advanced OIS Curve Building Approaches: Improving Accuracy at the Short End of the Curve Numerix featured speaker Mark Hadley discusses ways derivative market practitioners can enhance the bootstrapping process for the short end of OIS curves, and how these approaches will become more important as rates rise. Register Now
quantitative research SABR Spreads Its Wings Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. Read quantitative research
